Adrian Letchford

Quant 🤓 - Data Scientist 📈 - Engineer 🏗️ - Editor at 📝 - I do maths and engineering around financial markets - Sometimes works out.

[Adrian Letchford @DrAdrian]

You can use factor models to identify all of your risks. I wrote up how to build a statistical factor model and ensure it is stable out of sample.

https://t.co/knt01Sfc1C

[Adrian Letchford @DrAdrian]

@LePurplePhantom No disagreement here

[Adrian Letchford @DrAdrian]

@robots31512 hahahahahaha. Made my day.

[Adrian Letchford @DrAdrian]

Something written by AI wasn't important enough to be written by a human.

[Adrian Letchford @DrAdrian]

@lexdeblanca This made me think awhile.

Pre A.I. everything was written by humans, including the unimportant. Now, A.I. writes the unimportant. The click bait, the half arsed email and the textbook copying blog post.

We can now focus our scarce attention on the important.

[Adrian Letchford @DrAdrian]

@RadbroskiGadol Yes! If I think something is important I'll sweat over every word. I can tell an author didn't sweat over the words if it reads like A.I.

[Adrian Letchford @DrAdrian]

@ybernstein Banger

[Adrian Letchford @DrAdrian]

Find the article here: https://t.co/Iv3u4MQbyX

[Adrian Letchford @DrAdrian]

Big news!

First time writer @DBNunns joins the OSQuant team teaching you the basics of how an oil refinery works and how they maximise their profits.

[Daniel Nunns @DBNunns]

My first post on @DrAdrian's OSQuant, looking at how linear programming might 'crudely' apply to modelling commodities 🛢️🤠

https://t.co/qIeghqUfV7

[Science News @SciencNews]

The importance of stupidity in scientific research

[Adrian Letchford @DrAdrian]

@ole_b_peters Sydney!

[Adrian Letchford @DrAdrian]

If you're curious about regime modelling (let's be honest why wouldn't you be?) I've just written up how to use mixture models to learn economic regimes from data.

https://t.co/akx9a7gSTK

[Adrian Letchford @DrAdrian]

Tail risk, measured and managed. I demystify CVaR and show how to put it to work with Python. Rolling estimates, sanity checks, and a CVaR-constrained portfolio:

https://t.co/OaUgOWKJRs

[Blake Scholl 🛫 @bscholl]

https://t.co/e8t7X5BeiV

[Adrian Letchford @DrAdrian]

New post! Reconciliation tests for DataFrames (and a tiny library, recx). Stop silent P&L drift by comparing baseline vs candidate outputs.

https://t.co/HbIJsIHCha

[Adrian Letchford @DrAdrian]

@Vertox_DF Crazy coincidence. I was up late reading up on tail risk models. We do it out of love.

[Adrian Letchford @DrAdrian]

@QuestDb How is this even a question?

Docker up in seconds, SQL that’s a joy, ingest like a firehose, and time-series queries that just fly.

[Adrian Letchford @DrAdrian]

I've been a bit behind on the latest and greatest in Python tooling. But no more! All projects upgraded. You can read up here and do the same.

https://t.co/q85R5zFeYn

[Adrian Letchford @DrAdrian]

Here's a few ways to improve your covariance matrices
https://t.co/iTVz6cjFI3